Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178569
Authors: 
Adesi, Giovanni Barone
Year of Publication: 
2016
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 9 [Year:] 2016 [Issue:] 1 [Pages:] 1-6
Abstract: 
VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest at the short horizons typically used in applications. The computation of CVaR from option price is very convenient, because this measure is not elicitable, making direct comparisons of statistical inferences from market data problematic.
Subjects: 
VaR
expected shortfall
put option
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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